Value at risk comparision with all benchmark 20 day returns over trading period

i.e. The benchmark VaR here is representative of all possible 20 day returns and not restricted to the evaluation dates used for simualtions

Simulated Portfolio VaR (95%): -4.19%

Benchmark VaR (95%): -3.26%

Percentile of Simulated Returns Exceeding Benchmark Max: 1.63%


Value at risk comparision with benchmark 20 day returns over trading period using only test evaluation dates

Simulated Portfolio VaR (95%): -4.19%

Benchmark VaR (95%): -2.25%

Percentile of Simulated Returns Exceeding Benchmark Max: 10.92%

Analysis of indiviual VaR from all combos on specific evaluation date with benchmark comparision


Breakdown Plots:








evaluation start: 2023-07-25 end: 2023-08-22

evaluation start: 2023-08-22 end: 2023-09-19

evaluation start: 2023-09-19 end: 2023-10-17

evaluation start: 2023-10-17 end: 2023-11-14

evaluation start: 2023-11-14 end: 2023-12-12

evaluation start: 2023-12-12 end: 2024-01-12

evaluation start: 2024-01-12 end: 2024-02-12

evaluation start: 2024-02-12 end: 2024-03-11

evaluation start: 2024-03-11 end: 2024-04-10

evaluation start: 2024-04-10 end: 2024-05-09

evaluation start: 2024-05-09 end: 2024-06-06

evaluation start: 2024-06-06 end: 2024-07-05

evaluation start: 2024-05-01 end: 2024-05-29

evaluation start: 2024-06-03 end: 2024-07-02

evaluation start: 2024-07-01 end: 2024-07-29



Analysis of indiviual VaR over all evaluation periods for specific combos with benchmark comparision


Breakdown Plots:





























opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False False False True False False -0.081177 0.0
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False False False False True True -0.038447 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False False True True False False -0.07587 0.0
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False False True False True True -0.054383 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False True False True False False -0.048913 0.0
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False True False False True True -0.027089 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False True True True False False -0.041166 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False False True True False True True -0.049627 0.033333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True False False True False False -0.022999 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True False False False True True -0.045818 0.2
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True False True True False False -0.052841 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True False True False True True -0.036524 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True True False True False False -0.021381 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False False True True False False True True -0.037891 0.233333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False False False True False False -0.042199 0.02439
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False False False True True False -0.014486 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False False True True False False -0.022516 0.076923
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False False True True True False -0.028886 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False True False True False False -0.037811 0.04878
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False True False True True False -0.048908 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False True True True False False -0.051696 0.047619
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True False True True True True False -0.032927 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True False False True False False -0.025589 0.069767
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True False False True True False -0.008329 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True False True True False False -0.035301 0.097561
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True False True True True False -0.029808 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True True False True False False -0.038184 0.02439
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
False True True True False True True False -0.03929 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False False False True False False -0.014499 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False False False False True True -0.05083 0.263158
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False False True True False False -0.029413 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False False True False True True -0.035002 0.166667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False True False True False False -0.044539 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False True False False True True -0.03086 0.194444
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False True True True False False -0.037206 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False False True True False True True -0.058728 0.157895
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True False False True False False -0.024604 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True False False False True True -0.026773 0.147059
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True False True True False False -0.022886 0.2
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True False True False True True -0.039722 0.277778
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True True False True False False -0.036428 0.333333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True False True True False False True True -0.01747 0.27027
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False False False True False False -0.032728 0.0
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False False False True True False -0.019812 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False False True True False False -0.029388 0.069767
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False False True True True False -0.050053 0.266667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False True False True False False -0.036909 0.023256
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False True False True True False -0.067843 0.066667
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False True True True False False -0.040743 0.069767
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True False True True True True False -0.052253 0.133333
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True False False True False False -0.046008 0.044444
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True False False True True False -0.009991 0.2
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True False True True False False -0.027472 0.046512
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True False True True True False -0.024666 0.2
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True True False True False False -0.047307 0.095238
opt_entry_exit pmwf ur_1 ur_signal uhr ufmfgs ctwof1 ctwof2 VaR exceed_percentiles
True True True True False True True False -0.053903 0.133333

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